The Pfandbrief 2011 | 2012

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Pfandbriefe in Securities Indices – Current Trends and Applications drawal or new investment of money. Following the calculation of the PEX rate index, price changes and interest earnings are totalled. The reinvestment of interest earnings takes place across the entire portfolio, i.e. cash flow is allocated to all securities in accordance with constant weightings. PEX YIELDS FOR 3, 5, 7, AND 10 YEAR MATURITY BANDS 10 9 8 7 6 5 4 3 2 1 0 3 y 5 y 7 y 10 y 48 12.4.1987 12.4.1989 12.4.1991 12.4.1993 12.4.1995 12.4.1997 12.4.1999 12.4.2001 12.4.2003 12.4.2005 12.4.2007 12.4.2009 Sources: Deutsche Börse, UniCredit Research iBoxx Indices The iBoxx-brand family of indices was developed with the aim of establishing benchmarks for the Euro and Sterling bond markets. The iBoxx € Covered Index is part of the iBoxx € Collateralized Index (top-level index). Since 2003, iBoxx has set up various covered bond sub-indices. The criteria for the inclusion of bonds are based on type of bond, rating, remaining time to maturity, and outstanding volume. In the case of covered bonds, this means an investmentgrade rating, a remaining time to maturity of at least one year, and an outstanding volume of (currently) EUR 1 billion. In this regard, covered bonds are defined as bonds that meet the requirements of UCITS 22.4 or similar directives. In addition, covered bonds may also qualify if they have a structure that the market perceives as being a typical covered-bond structure. The criteria taken into account by the Technical Committee are structure, trading patterns, issuance process, liquidity, and spread levels. Currently, there are covered-bond sub-indices for Austria, Canada, France (France Covered Legal and France Covered Structured), Germany (mortgage Pfandbriefe and sovereign Pfandbriefe), Ireland, Italy, the Netherlands, Norway, Spain (Multi Cedulas and Single Cedulas), Portugal, Sweden, the United Kingdom, and the U.S. The covered bonds for all other countries are contained in the Other Covered sub-index. In addition to sub-indices according to country, iBoxx also provides covered-bond indices according to maturity bands: 1-3 years, 3-5 years, 5-7 years, 7-10 years, and more than 10 years. The subdivision by maturity is provided for iBoxx Covered as well as for the countries of Germany, France, and Spain. In addition, iBoxx provides sub-indices by ratings category: iBoxx € Covered AAA, iBoxx € AA, and iBoxx € A. Due to its having numerous sub-indices, iBoxx Covered achieves a very high degree of detail.
iBoxx COVERED BOND INDICES (JUNE 2011) 10 9 8 7 6 5 4 3 2 1 0 Austria Covered Canada Covered France Covered Legal France Covered Structured Hypothekenpfandbriefe Ireland Covered Italy Covered Netherlands Covered Norway Covered Öffentliche Pfandbriefe Other Covered Pooled Cedulas EUR bn Portugal Covered Single Cedulas Sweden Covered UK Covered US Covered Sources: Deutsche Börse, UniCredit Research 49 iBoxx INDEX FAMILY iBoxx € Overall (overall and maturity indices) iBoxx € Sovereigns iBoxx Non-Sovereigns iBoxx € Eurozone iBoxx € Germany iBoxx € Non-Sovereigns Rating Indices iBoxx € France iBoxx € Italy iBoxx € Austria iBoxx € Sub-Sovereigns iBoxx € Collateralized iBoxx € Corporates iBoxx € Belgium iBoxx € Finland iBoxx € Greece iBoxx € Ireland iBoxx € Netherlands iBoxx € Portugal iBoxx € Spain iBoxx € Sub-Sovereigns Rating Indices iBoxx € Supranationals iBoxx € Agencies iBoxx € Public Banks iBoxx Regions iBoxx Other Sovereigns iBoxx Other Sub-Sovereigns iBoxx € Collateralized Rating indices iBoxx € Covered iBoxx € Covered Sub-Indices iBoxx € Germany iBoxx € Sub-Indices iBoxx € Securitized iBoxx € Other Collateralized iBoxx € Corporates Rating Indices iBoxx € Corporates Sector Indices iBoxx € Financials Rating Indices iBoxx € Financial Sub-Indices iBoxx € Corporates Market Sector Indices Sources: iBoxx, UniCredit Research
Page 1 and 2: The Pfandbrief 2011 | 2012 Facts an
Page 3 and 4: The Association of German Pfandbrie
Page 5 and 6: Member Institutions of vdp 84 Aarea
Page 7 and 8: Jan Bettink | president framework i
Page 9 and 10: Pfandbriefe are covered interest-be
Page 11 and 12: the special supervision of Pfandbri
Page 13 and 14: Claims against Public-Sector Entiti
Page 15 and 16: are not eligible as cover. These re
Page 17 and 18: and to meet liquidity management co
Page 19 and 20: Ring-Fencing of the Cover Pools The
Page 21 and 22: all. Instead, they are part of the
Page 23 and 24: In changeable times, investors look
Page 25 and 26: Monthly sales of new issues in 2010
Page 27 and 28: Pfandbrief-Bund-Spreads in % 200 18
Page 29 and 30: vdp Initiative for the Improvement
Page 31 and 32: As a reaction to the problems and r
Page 33 and 34: The The significance of common equi
Page 35 and 36: waiving exemption from retroactive
Page 37 and 38: For banks specialising in public se
Page 39 and 40: Solvency II is intended to reform t
Page 41 and 42: Spread and counterparty risk The eq
Page 43 and 44: Counterparty default risk Mortgage
Page 45 and 46: liabilities and which plan to optim
Page 47 and 48: “Benchmarks” are reference or c
Page 49: account of its macro strategy, has
Page 53 and 54: EuroMTS Index The EuroMTS Covered B
Page 55 and 56: eb.rexx INDEX FAMILY eb.rexx Overal
Page 57 and 58: The question of the ETF’s replica
Page 59 and 60: Cover Ausgehend assets von from ein
Page 61 and 62: Michael Schulz, NordLB; Bodo Winkle
Page 63 and 64: BW: The German mortgage lending val
Page 65 and 66: What, in your opinion, will investo
Page 67 and 68: The fallout of the financial and ec
Page 69 and 70: cue fund, first and second economic
Page 71 and 72: Latest Developments on the Rental M
Page 73 and 74: Driven by such healthy fundamentals
Page 75 and 76: Residential Properties The German r
Page 77 and 78: It is time for new priorities in th
Page 79 and 80: explain the new assumptions and the
Page 81 and 82: tion in the industry outlook in one
Page 83 and 84: Reduce the Significance of External
Page 85 and 86: 84 Aareal Bank | Wiesbaden 86 Bayer
Page 87 and 88: Aareal Bank AG Paulinenstrasse 15 6
Page 89 and 90: BayernLB Brienner Strasse 18 80333
Page 91 and 92: Berlin-Hannoversche Hypothekenbank
Page 93 and 94: Bremer Landesbank Kreditanstalt Old
Page 95 and 96: COREALCREDIT BANK AG Corealcredit H
Page 97 and 98: DekaBank Deutsche Girozentrale Main
Page 99 and 100: Deutsche Apotheker- und Ärztebank
Page 101 and 102:
Deutsche Genossenschafts-Hypotheken
Page 103 and 104:
Deutsche Hypothekenbank (Actien-Ges
Page 105 and 106:
Deutsche Kreditbank AG Taubenstrass
Page 107 and 108:
Deutsche Pfandbriefbank AG Freising
Page 109 and 110:
Deutsche Postbank AG Friedrich-Eber
Page 111 and 112:
Deutsche Schiffsbank AG Domshof 17,
Page 113 and 114:
Dexia Kommunalbank Deutschland AG C
Page 115 and 116:
Düsseldorfer Hypothekenbank AG Ber
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DVB Bank SE Platz der Republik 6 60
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Eurohypo Aktiengesellschaft Helfman
Page 121 and 122:
Hamburger Sparkasse AG Adolphsplatz
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HSH Nordbank AG Gerhart-Hauptmann-P
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ING-DiBa AG Theodor-Heuss-Allee 106
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Kreissparkasse Köln Neumarkt 18 -
Page 129 and 130:
Landesbank Baden-Württemberg Am Ha
Page 131 and 132:
Landesbank Berlin AG Alexanderplatz
Page 133 and 134:
Landesbank Hessen-Thüringen (Helab
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M.M.Warburg & CO Hypothekenbank AG
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Münchener Hypothekenbank eG Karl-S
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Nord/LB Norddeutsche Landesbank Gir
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SaarLB Landesbank Saar Ursulinenstr
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SEB AG Ulmenstrasse 30 60325 Frankf
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Sparkasse KölnBonn Hahnenstrasse 5
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UniCredit Bank AG (former Bayerisch
Page 149 and 150:
VALOVIS BANK AG Theodor-Althoff-Str
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Westdeutsche ImmobilienBank AG Gros
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WestLB AG Herzogstrasse15 40217 Dü
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WL BANK AG Westfälische Landschaft
Page 157 and 158:
Wüstenrot Bank AG Pfandbriefbank H
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IKB Deutsche Industriebank AG Wilhe
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Other Pfandbrief Issuers 2010 As at
Page 163 and 164:
Moody’s rating for a covered bond
Page 165 and 166:
Topics covered in 1996 - 2010 1996
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2006 — The Pfandbrief Market 2005
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167
Page 171:
Head Office Brussels Office Liaison
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